ninjatrader/strategies/multiple-days-up-down/MultipleDaysUpDownBot.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.NinjaScript.Indicators;
using System;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class MultipleDaysUpDownBot : Strategy
    {
        private SMA longTermTrend;
        private SMA shortTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Multiple Days Up / Down Bot";
                Description = @"Taken from chapter 6 of High Probability ETF Trading (2009) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 2;

                LongTermTrendPeriod = 200;
                ShortTermTrendPeriod = 5;
                MinimumDaysUpDown = 4;
                DaysToConsider = 5;
                EnableLongTrades = true;
                EnableShortTrades = true;
                EnableAggressiveEntries = true;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                shortTermTrend = SMA(ShortTermTrendPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(LongTermTrendPeriod, DaysToConsider))
                return;

            if (EnableLongTrades)
            {
                if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
                    ExitLong();
                else if (Close[0] > longTermTrend[0])
                {
                    if (SufficientLowerCloses(MinimumDaysUpDown, DaysToConsider) && Close[0] < shortTermTrend[0] && Position.MarketPosition == MarketPosition.Flat)
                        EnterLong();

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Long && Close[0] < Position.AveragePrice)
                        EnterLong();
                }
            }

            if (EnableShortTrades)
            {
                if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
                    ExitShort();
                else if (Close[0] < longTermTrend[0])
                {
                    if (SufficientHigherCloses(MinimumDaysUpDown, DaysToConsider) && Close[0] > shortTermTrend[0] && Position.MarketPosition == MarketPosition.Flat)
                        EnterShort();

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Short && Close[0] > Position.AveragePrice)
                        EnterShort();
                }
            }
        }

        private bool SufficientLowerCloses(int minDays, int daysToConsider)
        {
            int lowerCloseCount = 0;

            for (int i = 0; i < daysToConsider; i++)
            {
                if (Close[i] < Close[i + 1])
                    lowerCloseCount++;
            }

            return lowerCloseCount >= minDays;
        }

        private bool SufficientHigherCloses(int minDays, int daysToConsider)
        {
            int higherCloseCount = 0;

            for (int i = 0; i < daysToConsider; i++)
            {
                if (Close[i] > Close[i + 1])
                    higherCloseCount++;
            }

            return higherCloseCount >= minDays;
        }

        #region Properties

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "Multiple Days Up / Down Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Short-Term Trend Period", GroupName = "Multiple Days Up / Down Bot", Order = 2)]
        public int ShortTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Minimum Days Up / Down", GroupName = "Multiple Days Up / Down Bot", Order = 3)]
        public int MinimumDaysUpDown { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Days to Consider", GroupName = "Multiple Days Up / Down Bot", Order = 4)]
        public int DaysToConsider { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "Multiple Days Up / Down Bot", Order = 5)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "Multiple Days Up / Down Bot", Order = 6)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "Multiple Days Up / Down Bot", Order = 7)]
        public bool EnableAggressiveEntries { get; set; }

        #endregion
    }
}